Counterparty credit risk
Dealers disagree over charge for CCP counterparty risk
Fed stress tests push US banks towards charging CVA for cleared derivatives
Regional banks may benefit from Basel CVA surprise
Basel Committee decision removes potential source of competitive advantage for large dealers
The double default value-of-the-firm model
This paper analyses whether the double default treatment under Basel II is appropriate to capture the asymmetric relationship between an obligor and its guarantor.
Fund industry defends use of credit lines as liquidity backstop
Concerns about systemic risk unjustified, say asset managers
What credit auction friction says about the OTC market
Benefits of risk bifurcation threatened by collateral conflicts
Oil rout sharpens energy companies' focus on credit risk
As defaults rise, firms step up sophistication of counterparty assessments
Banks forlorn over new Basel counterparty risk charge
Standardised risk charge delivers few benefits, and plenty of trouble
Dealers criticise Basel’s 'nonsensical’ CVA impact study
Tight deadline and limited portfolio makes measurement difficult
Dealers fret over Basel CVA revisions
Punitive standardised approach may replace modelling
Increased legal entity identifier issuance improves reporting
Growing LEI issuance has improved reporting, but what comes next?
CVA and FVA with liability-side pricing
Wujiang Lou calculates CVA and FVA abiding by the law of one price
Applied risk management series: Counterparty risk exposure metrics
Carlos Blanco outlines an approach to counterparty risk using potential future exposure
BlueCrest: fixed-income market structure faces uncertain future
COO in interview cites equity-like evolution and regulation squeezing liquidity
Right-way risk can create a false sense of security
Counterparty correlations are no substitute for due diligence, argues Kaminski
Counterparty credit risk pricing and measurement of swaption portfolios
This paper introduces a technique for pricing and risk measurement of portfolios containing swaption contracts in the presence of counterparty credit risk, under general market model and volatility assumptions.
Termination rights protocol due by end of September
But concerns remain about effects on resolution and capital requirements
Credit exposure models backtesting for Basel III
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into a…
Adapt and thrive: How Numerix evolved beyond pricing and analytics to become a leader in risk
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Energy markets need more than second-hand credit models
Financial models fall down in energy markets, argues Kaminski
The optimisation of everything: OTC derivatives, counterparty risk and funding
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